Abstract
This Note studies asymptotic influence of mean-correction on the parameter least squares estimation for a periodic AR(1) model. Unlike the stationary ARMA case, we show that fitting a periodic ARMA model with intercepts to the observed series can provide substantial gains in terms of asymptotic accuracy for the parameter least squares estimators compared with fitting a periodic ARMA model without intercepts to the mean-corrected series. To cite this article: A. Gautier, C. R. Acad. Sci. Paris, Ser. I 340 (2005).
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